Up to a point but the proxy servers will have your info otherwise they won't work and you will not get the info required. Remember they only 'hide' you but you are still leaving a trail. If the proxy server host is required, by law, in this country anyway, to divulge information, through a court order, then they must do that. Depends which Country the servers are, I suppose, and where laws are different.
I use the same as Proclaimer,and its quite effective,i only use it to watch US TV programs that i wouldn't usually be able to see because of where i am,it does slow you down,but it not that bad if you have a good connection.One thing i would say is when you use these type of programs they do open a lot of ports on the pc some of witch can leave you open to attacks from nasties so use with care.